<p>
  To analyze the value of this trading strategy, we compare its performance to buying-and-holding the S&P 500 index 
  ETF, SPY. We can see the results from the table below. The strategy has a lower Sharpe ratio than the SPY for all of 
  the time frames we tested, except for the downfall of the 2020 stock market crash. During this time it greatly 
  outperformed the SPY, achieving a 10.4 Sharpe ratio. We also notice that the strategy generates more consistent 
  returns than the benchmark, documented by the lower annual standard deviation of returns throughout all the testing 
  periods. 
</p>

<table class="table qc-table">
    <thead>
        <tr>
            <th>Period Name</th>
            <th>Start Date</th>
            <th>End Date</th>
            <th>Strategy</th>
            <th>Sharpe</th>
            <th>ASD</th>
        </tr>
    </thead>
    <tbody>
        <tr>
            <td rowspan="2">Backtest</td>
            <td rowspan="2">1/1/2015</td>
            <td rowspan="2">8/16/2020</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_03e550a891c8af7c23f484acd851c04b.html">Strategy</a></td>
            <td>0.192</td>
            <td style="background-color: lightgrey;">0.046</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_19229d5f18c2cc47163a5ff910fb7870.html">Benchmark</a></td>
            <td style="background-color: lightgrey;">0.709</td>
            <td>0.186</td>
        </tr>
        <tr>
            <td rowspan="2">Fall 2015</td>
            <td rowspan="2">8/10/2015</td>
            <td rowspan="2">10/10/2015</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_03e550a891c8af7c23f484acd851c04b.html">Strategy</a></td>
            <td>-1.448</td>
            <td style="background-color: lightgrey;">0.052</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_19229d5f18c2cc47163a5ff910fb7870.html">Benchmark</a></td>
            <td style="background-color: lightgrey;">-0.724</td>
            <td>0.251</td>
        </tr>
        <tr>
            <td rowspan="2">2020 Crash</td>
            <td rowspan="2">2/19/2020</td>
            <td rowspan="2">3/23/2020</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_e18eada3fc749e2e6caeb2b270006ea5.html">Strategy</a></td>
            <td style="background-color: lightgrey;">10.386</td>
            <td style="background-color: lightgrey;">0.104</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_cc2afe14cbcdef1c74d0f3718cac49fc.html">Benchmark</a></td>
            <td>-1.243</td>
            <td>0.793</td>
        </tr>
        <tr>
            <td rowspan="2">2020 Recovery</td>
            <td rowspan="2">3/23/2020</td>
            <td rowspan="2">6/8/2020</td>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_1160727b35d074687972b3f3799c3158.html">Strategy</a></td>
            <td>-2.942</td>
            <td style="background-color: lightgrey;">0.177</td>
        </tr>
        <tr>
            <td><a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_9f37bccb0732468f3f9ed2c09136bee4.html">Benchmark</a></td>
            <td style="background-color: lightgrey;">13.761</td>
            <td>0.386</td>
        </tr>
    </tbody>
</table>

<p>
  We find the lack of performance for this strategy is not largely attributed to the trading fees. After ignoring the 
  transaction fees, spread costs, and slippage, the strategy still has a lower Sharpe ratio than the benchmark. See 
  the backtest results <a href="https://www.quantconnect.com/terminal/processCache?request=embedded_backtest_954ccea020e02c6b15ae2f564fdd5da3.html">here</a>.
</p>
